Old wives tale... I've got, and have had both.
A parrot bonds to the person the parrot finds most interesting, and usually, who the parrot interacts with the most.
The sex part comes into play, usually, after a time when the bird has only been handled by a person of one sex or another. Then you get the label of either: "this bird hates women" or "This bird hates men."
They know there is a difference, but they don't necessarily know what it is. I haven't really been handled by that kind of human, so I'm not going to risk my life on it... I go for THAT kind... and until they get handled a lot by the opposite sex, they don't allow it.
To me it's more of a socailization thing.
With one caveat:
There are parrots (U-2's allegedly being the worst offenders) that can become "bite-ey" and distant with woman when it is "that time of the month." The theory behind this is that they can smell the blood, and they become fearful...
Now, I don't know how true that one is either... Mine certainly don't seem to behave any different around my daughter or my girlfriend... but I have heard several women swear that this is the case. Stranger things have happened. So, go figure!